Montage for automated market system

ABSTRACT

An electronic market for trading of securities includes a plurality of client stations for entering quotes for securities and a server process that receives quotes from the clients, aggregates the quotes and causes a total of all aggregated quotes to be displayed for a plurality of price levels on the client systems. The market uses a graphical user that depicts aggregated quotes in an aggregate window a plurality of price levels of a product traded in the market. The market also includes processes to handle lock/cross market conditions, match-off of order flow and provides a central quote/order collector that interfaces to disparate order delivery systems to minimize dual liability of market makers.

BACKGROUND

This invention relates to trading systems particularly financial tradingsystems.

Electronic equity markets, such as The Nasdaq Stock Market® collect,aggregate and display pre-trade information to market participants. InThe Nasdaq Stock Market, for example, this pre-trade information takesthe form of a quote that represents a single or an aggregate ofsame-priced principle or agency orders. A market such as Nasdaq alsoprovides trading platforms through which market participants may accessliquidity indicated in the marketplace.

One interface presentation in the Nasdaq trading system commonly calledthe Nasdaq Workstation® (hereinafter “NWII”) includes an interfacehaving a market minder window which allows market participants tomonitor price activity (inside bid/offer and last sale) of selectedstocks and a dynamic quote window, which shows for a particular stockthe inside bid and offer, the last sale, change in price from previousclose, daily high and low, volume, and a short sale arrow indicator. Theinterface also contains a montage. The montage shows for a particularstock two columns (one for bid, one for ask), under which is listed bymarket maker identification (MMIDs) for each registered market maker,ECN, and UTP Exchange in the stock, its corresponding quote (price andsize) adjacent its MMID. Nasdaq ranks the bids and offers along with thecorresponding MMID in price/time priority. Accordingly, the marketparticipant at the best bid who is first in time appears first in themontage, the market participant at the best bid (or the next best bid)who is next in time is ranked second, and so forth.

SUMMARY

The current inability of market participants to submit to a marketquotes or orders at multiple price levels has made compliance with theSEC's Order Handling Rules difficult because participants cannot leavetheir limit orders with a market e.g., Nasdaq for display when requiredby SEC rules. During fast market conditions, this has resulted in anorder being traded through because the market participant cannottransmit a limit order to the market quickly enough via a revised quote.

These developments, in turn, have lead to the proliferation of ECNs,which accept multiple price levels of orders and display those orderswhen they become the best bid/ask in the ECN. While this has assistedmarket makers in meeting their quotation and limit order displayobligations under the SEC's Order Handling Rules, it has led toincreased fragmentation of pre-trade information.

According to an aspect of the present invention, an electronic marketfor trading of securities includes a plurality of client stations forentering quotes for securities and a server process that receives quotesfrom the clients, aggregates the quotes and causes a total of allaggregated quotes to be displayed for a plurality of price levels on theclient systems.

According to an additional aspect of the present invention, a graphicaluser interface for an electronic market for trading products includes anaggregate window which displays aggregated quotes for a plurality ofprice levels of a product traded in the market.

According to an additional aspect of the present invention, a method ofoperating an electronic market for trading products includes aggregatingnon-attributable interest in the product for a plurality of pricelevels.

One or more of the following advantages may be provided by one or moreaspects of the present invention.

The trading process enhances the quote montage by providing anaggregation montage for the display of trading interest that shows thebest bid/best offer in the market as well as trading interest that ismultiple price levels away, accompanied by the aggregate size at eachprice level of the “displayed” trading interest of market makers,electronic communication networks (“ECN”), and UTP Exchanges.

Quoting Market Participants will be able to display their quotesanonymously at the price levels in the aggregation montage, thusencouraging display of greater trading interest. The montage includes acurrent quote montage, in which bid and ask quotations along with theparticipant's unique market maker identification symbol (“MMID”) aredisplayed in price/time priority.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 is a block diagram of a market system.

FIG. 1A is a diagram showing a format for quotes.

FIG. 2A is a block diagram showing arrangement of an quote/ordercollector facility.

FIG. 2B is a logic view of functions in the quote/order collectorfacility.

FIG. 3A is a flow chart showing a quote/order manager.

FIG. 3B is a flow chart showing a montage manager.

FIG. 4 is a flow chart showing an internal execution manager.

FIGS. 5A–5B are flow charts of an execution/routing manager.

FIG. 6 is a flow chart showing a quote montage update manager.

FIG. 7 is a flow chart showing a lock/cross manager.

FIG. 8 is a flow chart showing an odd lot execution manager.

FIG. 9 is a diagram that depicts aspects of a composite montage.

DESCRIPTION

Referring to FIG. 1, an electronic market 10 is shown. The electronicmarket 10 includes client systems 12 that access a central quote/ordercollector facility 20. The client systems 12 can be broker/dealersystems 12 a, electronic communication networks (ECN's) 12 b,market-maker(s) system(s) 12 c, and other exchanges 12 d. Theconnections can use existing Nasdaq^(®) protocols such as SelectNet^(®),Small Order Execution System^(®) (SOES^(®)), and so forth. The clientsystems 12 include a processor, memory and a storage device, e.g., aclient workstation or personal computer (all not shown) that can includea client process to enter quotes/orders into the electronic marketsystems (e.g., SOES^(®) and SelectNet^(®)) to deliver executions ororders to a market that is coupled to a clearing system 16 and areporting system 18. It also causes delivery of executions or routing oforders to the ECN's 12 c, depending on the status of the ECN, androuting of orders to other markets and exchanges 12 d. The quote/ordercollector facility 20 is comprised of one or preferably a plurality ofserver computers generally denoted as 22 including a processor 22 a,main memory 22 b and storage 22 c. The storage system 22 c includesquote/order collector process 25 that is executed in memory 22 b. Ingeneral, server 22 is a complex computer server, the details of whichare not important to an understanding of the present invention.

The quote/order collector facility (OCF) 20 collects pre-tradeinformation in the form of quotes or orders. The distinction between aquote and an order depends of several factors. For example, each marketmaker can send a proprietary quote i.e., a quote that represents its owntrading interest or an agency quote that represents trading interest ofa sponsored entity. If one proprietary quote is sent it could beconsidered one order. If one agency quote is sent it also could beconsidered one order. If an agency quote reflects an aggregation of morethan one agency order, however, the aggregate agency order could beconsidered a quote. Entering quotes are limited to registered marketmakers 12 b and ECNs 12 c and possible UTP Exchanges 12 d. For any givenstock, a registered market maker or ECN may directly enter anon-marketable order i.e., quote into the quote/order collector facility(OCF) 20 on behalf of its customer account, or it may sponsor the directentry of an order by its customer. All sponsored, quotes are sent to thequote/order collector facility 20 under the name of the sponsoringmarket maker or ECN. Every registered market maker or ECN will bepermitted to submit an unlimited number of non-marketable quotes to thesystem 20.

As shown in FIG. 1A, each quote 19 submitted to the system can includeda display quote size 19 a, a reserve size 19 b and an indication 19 c(ATTR) of whether the quote size is attributable or non-attributable.Quote size 19 a when attributable based on indicator 19 c, is directlyattributable to the market maker or ECN and is displayed in an “currentquote” montage an order display window 200 to be discussed below in FIG.9. Quote size 19 b when non-attributable is size that the market makeror ECN wishes to display to the marketplace through an aggregate montageof the order display window 200 discussed below in FIG. 9. This quotesize 19 a is not attributable to the market maker or ECN until it isexecuted. Reserve size 19 b is size that is not displayed to themarketplace but that is immediately accessible through the quote/ordercollector facility 20. In order to use reserve size 19 b, a market makercan be required to have a minimum amount displayed in the aggregatequote size 19 a without attributable indicator 19 c and negotiationquote with attributable indicator 19 c asserted.

The current quote montage 204 of the window 200 without agency quotes issimilar to the long existing Nasdaq display montage, whereas the currentquote montage 204 with the agency quotes as depicted in FIG. 9 issimilar to that shown in U.S. patent application Ser. No. 09/208,942,filed on Dec. 12, 1998 entitled “DUAL QUOTE MARKET SYSTEM” (pending) byRichard G. Ketchum et al. and assigned in part to the assignee of thepresent invention.

A broker/dealer can receive an order from a customer. The broker/dealercan send that order to the order collector facility 20 to be executedwith quotes that are posted by electronic communication networks, marketmakers or other markets. In this embodiment, orders of broker/dealersare not posted as quotes.

Order Collector Facility

Referring to FIG. 2A, the quote/order collector facility 20 receivesquotes, liability orders, (non-liability orders) and directed ordersfrom market participants. The quote/order collector facility 20 allows aquote/order to be displayed in the market, and also allows formarketable orders to be executed or routed to market participants.

The order quote collector facility 20 also includes an interface 21 thatcouples the order collector facility 20 to a plurality of order deliverysystems. For example, the interface 21 can couple the order quotecollector facility 20 to an order execution system, e.g., the SmallOrder Execution System^(®) (SOES^(®)) and to a negotiation system, e.g.,SelectNet^(®). The interface 21 would provide access to informationcontained in order flow delivered via the delivery systems to aquote/order collection process 25 described in conjunction with FIG. 2B.In general, the electrical and logical functions which comprise theinterface 21 can be similar to the ones currently existing in theSOES^(®)/SelectNet^(®) systems. The interface 21 or the process 25 wouldextract information from the quotes and make that information availableto the quote order collector process 25. The quote/order collectorprocess 25 extracts information and process orders in a unified mannerto allow the order collector facility 20 to be a unifying point ofcollection of all orders which are sent to the market 10.

The interface 21 can also be used to route executions of liabilityorders back to market participants whose quotes/orders were executedagainst and can deliver orders for negotiation against marketparticipants whose quotes are selected for further negotiation via theSOES^(SM) and SelectNet® systems.

Referring to FIG. 2B, the quote/order collector process (“OCP”) 25 isshown. The quote/order collector process 25 provides transmission ofmultiple orders or quotes at multiple price levels by Quoting MarketParticipants to a quotation manager 26 a. The quote/order manager 26 athat provides a unified point of entry of quotes and orders fromdisparate delivery systems into the quote/order collector facility 20 toaccess quotes/orders displayed (as either attributable ornon-attributable) in both the aggregate montage and current quotemontage. The quote/order manager 26 a manages multiple quotes/orders andquotes/orders at multiple price levels and uses a montage manager 26 bto display (either in the Aggregate montage or in the current quotemontage) the orders/quotes consistent with an order's/quote'sparameters. The order collector process 25 also includes an internalexecution process manager 26 c to match off executions for quotingmarket participants at the best bid/offer. The order collector system 20also includes an order routing/execution manager 26 d provides a singlepoint delivery of executions or routing of orders, which substantiallyeliminates potential for dual liability. That is, order collectorprocess 25 will maintain the order routing and executions functionalityavailable in the SOES^(®) and SelectNet^(®) systems. The order collectorprocess 25 also includes a quote update manager 26 e, a lock/crossmanager 26 f, and an odd lot execution manager 26 g.

Referring to FIG. 3A, the order collector process 25 receivesorders/quotes and time stamps 42 each order/quote upon receipt. Thistime stamp determines the order's/quote's ranking for automatedexecution. Quotes/orders are designated as either attributable ornon-attributable, and could also have a reserve size discussed above.The order collector process 25 aggregates all of a Quoting MarketParticipant's attribute and non-attribute orders at a particular pricelevel, and disseminates order/quotation information into the aggregatemontage and/or the current quote montage, as will be discussed below.

The order entry process 25 determines 43 whether the receivedquote/order corresponds to a reserve quote. If the quote does notcorresponds to a reserve quote then the quote is a displayable quotethat is attributable or non-attributable. The order entry process 25compares 44 the received quotes/orders to existing quotes/orders todetermine 46 whether the price of quotes/orders fall in existingquote/order price levels 47. Any number of quote/order price levels canbe accommodated although in this example, only three price levels willbe displayable in the non-attributable i.e., aggregate montage. If thequote price is in a displayable price level it is a displayable quoteeligible for automated execution. The order collector system 20 can beprovided with more price level depth than the three levels, e.g., adepth of 20–25 levels although only a limited number, e.g., three wouldbe displayed at any one time.

If the quote is within one of the pre-defined quote levels, the process25 determines 48 new non-marketable quote/orders sizes by adding thequote/order size corresponding to the received quote/order to quotesizes at that price level already in the system 20. The process 25 willcause the new non-marketable quote sizes to be displayed 50. If thequote is not within one of the pre-defined quote levels, the process 25stores 52 the quote at a new price level determines 54 if it is at abetter price. If the quote is at a better price, the process 25 changes56 current levels to cause a new price level for non-marketable quotesizes to be displayed 50.

Referring to FIG. 3B, the montage manager 26 b of the quote/ordercollector process 25 determines 60 which price levels to display 60 anddetermines 61 if an order is a non-attributable order. If the order isnon-attributable, the quote/order collector process 25 will store andsum 66 the quote with like quotes to produce an aggregated quote anddisplay 68 the aggregate size of such orders in the aggregated montagewhen the orders fall within one of the three top price levels. Forattributable orders, the aggregate size of such orders is displayed inthe current quote montage once the order(s) at a particular price levelbecomes the particular quoting market participant's best attributablebid or offer in the current quote montage. This interest will also beaggregated and included in the aggregate montage if it is within thedisplayed price levels. Market makers and ECNs can have one MMID andpossible an agency MMID against which they can display attributablequotes. If a market maker has an agency quote, attributable orders willbe displayed once the order or orders at a particular price level becomethe market participant's best agency quote.

For example, MMA sends system 20 five 1,000 shares attributable buyorders at $20 and two 1,000 share non-attributable buy orders at $20,for a total interest of 7,000 shares to buy at $20. At some point, the$20 price level becomes the best bid. In this example, if MMA is aloneat the inside bid, system 20 will aggregate all of the orders in thesystem and display as follows: 7,000 shares in the Aggregate montage;5,000 shares (the attributable portion) in the current quote montagenext to MMA's MMID; and 2,000 (the non-attributable portion) in a “SIZE”MMID.

Quote/order collector system 20 provides several advantages to themarket. One advantage is that it ensures compliance with the regulatoryrules such as the SEC Order Handling Rules, and in particular the LimitOrder Display Rule and SEC Firm Quote Rule. With system 20 it is lesslikely that a Quoting Market Participant, because of system delays andor/fast moving markets, will miss a market because the Quoting MarketParticipant is unable to quickly transmit to System 20 a revised quote(which may represent a limit order).

ECNs do not currently participate in the SOES^(SM) execution systembecause of the potential for dual liability and assuming proprietarypositions. For example, if an ECN matches orders between two subscribersand contemporaneously receives an execution from SOES^(SM) against itsquote, the ECN will be required to honor both the internal execution andthe SOES^(SM) execution, thus taking on a proprietary position. Thisissue of liability does not arise in SelectNet® because that systemdelivers orders which can be declined if the ECN, after scanning itsbook, determines that the quote was taken out by an internal execution.An ECN cannot decline a SOES^(SM) execution because the system deliversan execution, as opposed to an order.

An ECN, like a market maker, can have the ability to give orders to thesystem 20. If an internal subscriber wants to access an order in an ECNthat is also being displayed in system 20, the ECN can request a cancelbefore effecting the internal match, as discussed below in FIG. 4. Ifthe request to cancel is declined because the order was already executedagainst in system 20, the ECN can decline the internal customer andavoid the potential for dual liability.

Referring now to FIG. 4, the internalize execution manager 26 c isshown. Another benefit of the system 20 is that when Quoting MarketParticipant is at the best bid/best offer, internalize execution manager26 c matches-off a participant's agency or proprietary orders againstthat participant's quotes/order before the order is sent for time/pricepriority execution in the quote/order collector facility 20. QuotingMarket Participants encounter difficulties in managing their bookbecause Quoting Market Participants may transmit only a single quote(which may represent a single order or an aggregate ofproprietary/agency interest at a single price).

For example, if MMA sends system 20 all of its quotes/orders and is atthe best bid of $20 showing 4,000 shares (attributable andnon-attributable), and the MMA sends OCP 25 a 1,000 share market sellorder from one its customers, OCP 25 will examine 67 a theidentification of the order and if it matches the identification of themarket participant who is at the best bid or offer for that security,the OCP 25 will execute 67 b the order against the participant's ownquote, thus matching off the order on behalf of the participant. The OCP25 can call 67 c a “request a cancel” function where a Quoting MarketParticipant can request cancellation of an order from system 20 beforethe order is actually executed. The request to cancel feature, alongwith the ability to leave orders with OCF 20, will benefit ECNs byallowing them to participate in automatic execution and the internalizedexecution process 67 described above while minimizing the potential fordouble liability or taking on a proprietary position.

Currently, to access quotes via automatic execution, a marketparticipant may enter an order into its SOES^(SM) system if the order isfor a public customer and meets maximum order size requirements. Amarket participant may use SelectNet® if an order is not SOES^(SM)eligible, if the market participant wishes to access a quote of an ECNor UTP Exchange, or if the market participant wishes to use thenegotiation features of SelectNet®. However, SOES^(SM) and SelectNet®are not integrated and operate in an asynchronous manner.

In a preferred embodiment of the order collector facility 20, theSelectNet® system is used as a negotiation system and specific changesare made to the SOES^(SM) system. The two systems can continue tooperate on separate platforms. From an end-user's perspective, a marketparticipant will still have to operate and manage two separate systems.For example, market participants will have to first determine the typeof order they wish to enter (liability v. non-liability) and/or to whomthey wish to send the order (market maker, ECN, UTP Exchange), and thendecide which system (SOES^(SM) or SelectNet®) to use to enter the order.

SOES® and SelectNet® are configured to minimize the potential for dualliability, as described in copending patent application Ser. No.09/404,517 filed Sep. 23, 1999 entitled DELIVERY SYSTEM FOR ORDERS IN ANELECTRON MARKET which is incorporated herein by reference. In thatapplication, to minimize the potential for dual liability (e.g., receiptof a Liability Order followed immediately by the delivery of anexecution against a market maker's quote), the SelectNet® system isconfigured so that only a non-Liability Order could be delivered tothose market participants who participate and are subject to automaticexecution. To send a Liability Order to a market maker, a marketparticipant would use the system to route the order to the next marketmaker in a queue. Market participants would still use SelectNet® toaccess quotes of ECNs that do not participate in SOES® and to directnon-Liability Orders to a particular market maker. The SOES system isalso reconfigured to an automated facility for the handling of allmarket traded orders of less than a predetermined number of shares,e.g., 9,900 shares. The orders can be entered for execution against anexpanded trading interest accessible through both displayed (and reservesize quotes described below).

The OCF 20 will eliminate virtually all potential for double liabilityusing the disparate delivery systems because OCF 20 will serve as thesingle point of order entry and the single point of delivery of allLiability Orders (as well as Non-Liability Orders).

To access quotes in system 20, therefore, order entry firms, marketmakers, ECNs, or UTP Exchanges, will enter either a directed ornon-directed order into the OCF 25. The order may be of any size. Theorder indicates whether it is a buy, sell, sell short, or sell shortexempt. The order is either a priced order or a market order. The system20 has a separate odd lot process described below.

Nondirected Orders

A market participant can immediately access the best prices in system 20as displayed in the aggregate montage, by entering a non-directed orderinto the OCF 25. A non-directed order, is an order that is notsent/routed to a particular Quoting Market Participant. A non-directedorder is designated as a market order or a marketable limit order and isconsidered a “Liability Order” and treated as such by the receivingmarket participant. If a non-directed limit order is marketable whenentered into the system but subsequently becomes non-marketable becauseof a change in the inside market, the system will hold the order fore.g., 90 seconds and not immediately return the order to theparticipant. If within the 90 seconds the order once again becomesmarketable, the system will send the order to the next Quoting MarketParticipant in queue. Additionally, the order entry participant canobtain the status of the order and request a cancel of such order.

Upon entry, the OCF 25 will ascertain what market participant is thenext Quoting Market Participant in queue to receive an order, anddepending on how that receiving Quoting Market Participant participatesin system 20 (i.e., automatic execution v. order delivery), the OCF 25will either cause delivery of an execution (via SOES^(SM)) or deliveryof a Liability Order (via SelectNet®).

For example, if MMA and ECN1 (non-automatic exception participant) areat the inside bid each displaying 1,000 shares at $20, and OE Firm Aenters a market order to buy 1,000 shares, assuming that MMA is first intime priority, the OCF 25 will route the order into the SOES^(SM) anddeliver an execution of 1,000 shares to MMA via the SOES^(SM). Ifanother market order to buy 1,000 shares is entered into the system, andOCF 25 will deliver an Liability Order to ECN1. If ECN1 had opted totake automatic execution, the OCF would had delivered an execution toECN1 via the SOES^(SM).

Order Execution Manager

Referring to FIGS. 5A–5B, the order execution/routing manager 26 d isshown. The order execution/routing manager 26 d will executenon-directed orders against Quoting Market Participant's quotes/ordersbased on price/time priority. As noted above, each quote/order whenentered into the OCF 25 receives a time stamp. The orderexecution/routing manager 26 d will deliver all orders at the bestbid/best offer in strict time priority based on the time stamp of theorder/quote, with the exception that order execution/routing manager 26d will first attempt to provide a match off of orders/quotes entered bya Quoting Market Participant if the participant is at the best bid/bestoffer by calling the internal execution manager 26 c (FIG. 4). Thus, theorder execution/routing manager 26 d will call the internal orderexecution manager 26 c to try to match off a Quoting MarketParticipant's orders and quotes that are in the system if theparticipant is at the BBO and receives a market or marketable limitorder on the other size of the market.

The order execution/routing manager 26 d will attempt to execute 76against all displayed size (attributable and non-attributable) at aparticular price level for market participants such as market makers andECN's. There does not need to be an interval delay between the deliveryof executions against a market maker's quote (assuming the market makerhas size to access) because all Quoting Market Participants may quotetheir actual size and may give multiple orders and price levels. Asshown herein the market maker proprietary orders receive preference overagency orders. However, preference could be given to agency ordersbefore market maker orders.

Once displayed size in system 20 is exhausted, the orderexecution/routing manager 26 d will attempt to access the quotes of UTPExchanges. After accessing the displayed size of Quoting MarketParticipants and UTP Exchanges 78, order execution/routing manager 26 dwill attempt to execute against the reserve size of Quoting MarketParticipants in price/time priority.

In an alternative embodiment, the order execution/routing manager 26 dcan distinguish between exchanges that support auto execution andexchanges that do not support auto execution giving preference for theformer. Additionally, in such an embodiment, UTP exchanges can havereserve size and the system 20 can distinguish between exchanges thatsupport auto execution and those ECN's, and then exchanges that do notsupport auto execution.

In another embodiment the order execution/routing manager 26 d can firstaccess quotes of market makers and auto-execution ECN's, next accessquotes of market makers and ECN's for delivery of orders, then thereverse size of market makers and ECN's and UTP exchanges.

Referring to FIG. 5B, if the order is not filled 88, the orderexecution/routing manager 26 d will move 90 to the next price level,after a predefined delay, e.g., a 5 second interval delay 87 beforeattempting to execute an order at the new price level. The price-levelinterval delay will give market participants time to adjust their quotesand trading interests before the market moves precipitously throughmultiple price levels, which may occur when there is news, rumors, orsignificant market events. Thus, the price-level interval delay is amodest and reasonable attempt to limit volatility.

Directed Orders

The current quote montage allows Quoting Market Participants toadvertise their buying or selling interest. To access a specific quotein the current quote montage, a market participant will enter into theOCF 25 a “directed order” to begin the negotiation process with aparticular Quoting Market Participant. A directed order is one that isrouted by the market participant entering the order to a specific MMID.To limit the possibility for dual liability, a directed order must bedesignated as: 1) All-or-None (“AON”) and at least 100 shares greaterthan the size of the displayed quote of the market participant to whichthe quote is directed; or 2) a Minimum Acceptable Quantity order (“MAQ”)with an MAQ value of at least 100 shares greater than the displayedamount of the quote of the participant to which the order is directed.If a Quoting Market Participant is at the inside or displaying(attributable or non-attributable) interest in the montage and receivesa directed, non-Liability Order that the participant wishes to fill, toavoid double liability the Quoting Market Participant may “request acancel” of its displayed quote/order in System 20 before it fills thenon-Liability Order. System 20 will not decrement a quote upon thedelivery of a non-Liability Order.

Referring to FIG. 6, a quote update process in the quote size manager 26e is shown. If an execution is delivered to a Quoting Market Participantthat accepts automatic executions 102 (i.e., market makers or ECNs thatchoose to accept automatic executions via the SOES^(SM)), quote sizemanager 26 e will automatically decrement 104 the aggregate quote in theaggregate montage by the size of the incoming order, and the QuotingMarket Participant's quote in the current quote montage if thequote/order is attributable. For Quoting Market Participants who acceptautomatic execution, if the participant's displayed size is decrementedto zero 106, the Quoting Market Participant's displayed (attributable ornon-attributable) size will be replenished from reserve if the marketparticipant has reserve size by calling 108 an auto quote refresh.

If an ECN accepts automatic execution via SOES^(SM) and has its quoteexhausted to zero 111 without update or without transmission of anotherattributable quote/order, quote size manager 26 e will zero out 114 theone side of the quote that is exhausted. If both the bid and offer sizeof the ECNs market is reduced to zero without update or transmission ofanother attributable quote/order, the ECN will be placed into an excusedwithdrawal 116 and restored once the ECN transmits revised quotes.

For Quoting Market Participants that do not participate in automatedexecution, e.g., ECNs that opt out of automatic execution and UTPExchanges that only participate in order delivery, the execution manager26 d will deliver a Liability Order of a size that is equal to or lessthan the participant's quoted size. System 20 will automaticallydecrement 120 the participant's 122 quote by the size of the orderdelivered, but quote size manager 26 e will move the participant to thebottom of the queue and not deliver another order to such Quoting MarketParticipant until the Quoting Market Participant has processed the orderby providing a complete or partial fill of the order. If such QuotingMarket Participant declines or partially fills the order, System 20 willsend the order (or remaining portion thereof) back into the queue fordelivery to the next available Quoting Market Participant. In addition,if the Quoting Market Participant declines or partially fills the order,or if the participant fails to respond in any manner within 10 secondsof order delivery, System 20 will presume equipment failure and willtake corrective action.

For ECN's, quote size manager 26 e will zero out that side of the ECN'smarket, and for UTP Exchanges quote size manager 26 e will place theparticipant at the lowest bid and highest offer price for a trading unite.g., 100 shares until updated. This is necessary to ensure that QuotingMarket Participants that do not provide timely executions due toequipment or other failures do not hold up the market and cause queuingof orders within the system 20. As noted previously, market makers willbe required to maintain a two sided, attributable proprietary quote(other than its Agency Quote) in system 20 at all time. To assist withthis requirement, market makers will be able to use the AutoQuoteRefresh (“AQR”) process that is available to the SOES^(SM).

When a market maker's proprietary quote (both displayed and reserve) isexhausted to zero, the system will refresh the market maker's price onthe bid or offer side of the market, whichever is decremented to zero,by an interval designated by the market maker and the market makers sizeto a level designated by the market maker. When the market maker's quoteis refreshed, however, the AQR will refresh the market maker'sattributable quote/order (not the non-attributable quote). AQR will notbe available for Agency Quotes. Additionally, if a market maker does notuse AQR but otherwise has another attributable proprietary quote inSystem 20, System 20 will automatically display the market maker's nextbest attributable proprietary quote when its current attributable quoteis exhausted.

If a market maker's quote is decremented to zero and does not update itsnon-agency quote via AQR, transmit a revised attributable quote toSystem 20, or have another proprietary attributable quote/order inSystem 20, System 20 will place the market maker's quote (both sides) ina closed state for a short period of time, e.g., three minutes. At theend of that time period, if the market maker has not on its own updatedits quote or voluntarily withdrawn its quote from the market, System 20will refresh the market maker's quotation to 100 shares at the lowestmarket maker bid and highest market maker offer currently beingdisplayed in that security and reopen the market maker's quotation.

Locked/Crossed Markets

Referring to FIG. 7, a lock/cross manager 26 f is shown. With thelock/cross manager 26 f, locked and crossed markets, can be virtuallyeliminated. Specifically, if a Quoting Market Participant enters a quote132 that would lock or cross the market 134, the lock/cross manager 26 fwill not display the quote as a quote, but instead the lock/crossmanager 26 f will format the quote and treat it as a marketable limitorder 136 and enter the reformatted order into the OCF 25 as anon-directed Liability Order for execution in time priority. In a lockedmarket situation 137, the orders will be routed 138 to the QuotingMarket Participant(s) next in queue whom would be locked, and the orderwill be executed 140 at the price of the locking quotes/orders. Forcrossed market situations 137, the crossing order will be entered 142into the system and routed to the next Quoting Market Participants inqueue, and the order will be executed at the price of the displayedquote that would have been crossed. Once the lock/cross is cleared, ifthe Quoting Market Participant's order is not completely filled 146, thelock/cross manager 26 f will reformat the remainder of the order andcause it to be displayed 148 as a quote on behalf of the enteringQuoting Market Participants. If the market moves and the order no longeris locking/crossing, the lock/cross manager 26 f will return the orderand format it as a quote for display in System 20.

For example, the inside market is $20 bid, $20 1/16 offer, bid size1,000 by 1,000 offer, and MMA is at the inside bid. If MMC attempts toenter into the system an offer quote of $20 for 4,000 shares, the OCF 25will format MMC's quote as an order, route it to MMA (assuming MMA isfirst in queue and there are no other marketable orders in queue aheadof MMC's quote/order), and execute MMC's order against MMA's quote at$20 for 1,000 shares. If the next market participant on the bid side isquoting at $19 15/16 and since there are 3,000 shares remaining in MMC'sorder, the OCF will reformat the remaining portion of the order anddisplay it as a quote (consistent with the order's parameters), therebyestablishing a new inside of $19 15/16 bid and $20 offer.

As a second example, if MMC attempts to enter into the system an offerquote of $19 15/16 for 1,000 shares when MMA is at the best bid of $20,the system will format MMC's quote as an order, route it to MMA, andexecute MMC's order against MMA's quote a $20, 1,000 shares, thus givingprice improvement to MMC's order.

If the market is locked or crossed at the opening, system 20 willattempt to clear out the locked and/or crossed quotes, and then willbegin processing market and marketable limit orders that are in queue.

UTP Exchange Participation

National securities exchanges trading pursuant to grants of unlistedtrading privilege (“UTP”) can enter orders into the OCF 20. UTPExchanges will receive, and be obligated to execute, Liability Orders ormay provide auto execution to incoming orders if they so choose.Specifically, when a UTP Exchange is next in queue to receive aLiability Order, System 20 will deliver a non-directed order to the UTPExchange.

Additionally, if a UTP Exchange wishes to access the best market, theUTP Exchange may enter a non-directed Liability Order into the OCF. TheOCF will send the next market participant an order for delivery, notautomatic execution, regardless of whether the Quoting MarketParticipant participates in automatic execution. This is similar to themanner in which NASD market makers in the third market are accessed andmay access other market centers. UTP Exchanges will also be able todirect non-Liability Orders for negotiation to particular market makers.Finally, UTP Exchanges will only be able to submit attributable quotes,and will not be able to utilize reserve size or AQR.

ECN Participation

ECNs will have the choice of taking order deliver or participating inautomatic execution. Regardless, ECNs in System 20 will have full accessto the OCF 25 for order entry and order delivery and will be able todesignate orders/quotes as attributable/non-attributable, have a reservesize, and be able to transmit multiple quotes/orders at multiple prices.

Odd-Lot Processing

Referring to FIG. 8, an odd lot execution manager 26 g is shown. The oddlot execution manager 26 g will accept and execute orders less than onenormal unit of trading, i.e., odd-lot orders or orders less than oneround lot (i.e., 100 shares for equities). The odd lot execution manager26 g is a separate mechanism for processing and executing these ordersas distinct from normal units of trading. Odd lot execution manager 26 gwill detect 164 and hold 166 odd-lot orders in a separate file andautomatically execute 170 such odd-lots against market makers 177 inround robin rotation whenever the odd-lot order becomes marketable,i.e., when the best price in the system moves to the price of theodd-lot limit order. For example, if a member enters a market order for50 shares into the system, odd lot execution manager 26 g willimmediately and automatically execute the order at the inside priceagainst the market maker that is first in rotation for execution of suchorders, regardless of the market maker's quoted price. The odd lotexecution manager 26 g will not decrease the market maker's displayedsize. Additionally, if a mixed lot is entered into the system, to ensurecontinuity of price, once the round-lot portion is executed, the odd-lotportion will be executed against the next market maker in rotation atthe round-lot portion price.

Small Capitalize Stocks

The system 20 could use the expanded SOES^(SM) system and theaggregation montage for all securities, including Small CapitalizeStocks (SmallCap). This would eliminate the need to have separatesystems for those listed securities.

Montage

Referring to FIG. 9, the system uses a composite montage 200. Onecomponent of the composite montage is the current montage 204 thatexists in the current NWII presentation. The current montage 204 hasinto two primary display components. One component 205 is the MarketMinder Window, which allows market participants to monitor priceactivity (inside bid/offer and last sale) of selected stocks, and theDynamic Quote window, which shows for a particular stock the inside bidand offer, the last sale, change in price from previous close, dailyhigh and low, volume, and the short sale arrow indicator. The othercomponent is current quote montage 204. The current quote montage 204shows for a particular stock two columns (one for bid, one for ask),under which is listed the MMIDs for each registered market maker, ECN,and UTP Exchange in the particular stock and the corresponding quote(price and size) next to the MMID. System 20 ranks the bids and offersalong with the corresponding MMID in price/time priority. Accordingly,the market participant at the best bid who is first in time appearsfirst in the montage, the market participant at the best bid (or thenext best bid) who is next in time is ranked second, and so forth.

Market makers are required to submit a two sided proprietary quote, andECNs that participate in System 20 may submit a one or two sided quote.UTP Exchanges that have an interface with System 20 are required underthe UTP Plan to submit to System 20 a two sided quote, which representsthe exchange specialist's best quote in the stock at issue. While amarket maker's quoted price and size is attributed to the market makerby the corresponding MMID, this may not represent the market maker'sbest price if the market maker has placed a better priced order into anECN that complies with the Display Alternative Rule. Accordingly, amarket maker may be displaying in the current quote montage aproprietary bid of $20 when the market is $20⅛ to 20¼, but the marketmaker may be displaying in a qualifying ECN a bid of $20 1/16. The $201/16 quote may only be seen by subscribers of the ECN in which themarket maker has placed the order and is not visible to the system 20 ormarket participants unless and until $20 1/16 becomes the best bid inthe ECN.

Montage With Enhanced Display of Trading Interest

Still referring to FIG. 9, as mentioned above the quote/order collectorfacility 20 operates with a composite montage that is sent toparticipant workstations as a graphical user interface. The compositemontage 200 includes the current quote montage 204 and aggregate montage202. The aggregation montage 202 displays a predetermined number ofprice levels, e.g., the three best price levels 202 a–202 c on both thebid and offer side of the market. Each price level 202 a–202 c generallyis dynamically updated and provides a display of the aggregate size of“displayed” trading interest (“attributable” and “non-attributable,” asexplained above) at each price level for both sides of the market e.g.,205, 207.

Referring back to FIG. 1A, the entry format 80 for quotes/ordersincludes a quote size field 182 and a reserve size field 184. QuotingMarket Participants will be able to designate a quote/order as“attributable” or “non-attributable,” by an entry in field 186. Bothattributable and non-attributable orders are considered “displayableorders” since they are displayed to the system 20 and have the potentialfor being viewed by market participants. If a quote/order is“attributable,” the price and size of the order will be displayed nextto the Quoting Market Participant's MMID in the current quote montage(assuming this is the Quoting Market Participant's best pricedattributable quote/order), and will also be displayed in the aggregatemontage as part of the aggregate trading interest when the price of thequote/order is within the best three price levels.

Alternatively, if a Quoting Market Participant designates an order/quoteas “non-attributable,” it will be displayed in the aggregate montage aspart of the aggregate trading interest when the price of the quote/orderis within the best three price levels, but will not be displayed in thecurrent quote montage next to the Quoting Market Participant's MMID. Thenon-attributable order/quote of the quoting market participant will bedisplayed in the “SIZE” quote if it is the best non-attributablequote/order on that side of the market.

Then, Quoting Market Participants can display trading interest to themarket anonymously, without attribution to its MMID, and still be incompliance with SEC Rules. Specifically, market makers will be requiredto publish in the current quote montage a two sided quote that isattributed to it by MMID. System 20 should satisfy the DisplayAlternative requirements. That is, if a market maker displays in theaggregate montage a non-attributable proprietary or agency interest thatis priced better that its attributable quote/order in current quotemontage, this would be consistent with SEC Rules because the betterpriced non-attributable quote/order will be displayed in System 20 onceit is at the best bid/best offer or two price levels away. Additionally,the prices in the aggregate montage will be accessible throughtraditional execution systems, thus providing equivalent access to thequote.

If a market maker were to place an order into a qualifying ECN, thatorder would not be displayed in System 20 until it was at the top of theECN's file. In system 20, however, the market maker's order in theaggregate montage will be displayed when it is within the best threeprice levels on either side of the market. Thus, the aggregate montagereduces fragmentation and increases transparency in that orders thatmight not be displayed to the market because they are in an ECN and notat the top of the ECN's book, may now be displayed in System 20.Additionally, system 20 will display in the current quote montage onlyone MMID (two sided) and one Agency MMID (one or two sided) for eachmarket maker, and one MMID per ECN. Thus, it would be consistent for amarket maker to send system 20 a non-attributable proprietary or agencyquote/order that is priced better than its attributable quote in thecurrent quote montage. It would also be consistent for a market makerthat receives a limit order, which is priced better than the marketmaker's attributable quote in the aggregate montage, to designate thatlimit order as non-attributable and display it only in the aggregatemontage without updating its quote in the current quote montage). Thisarrangement and treatment of the order must be consistent with themarket maker's best execution obligations and understanding with thecustomer.

A Quoting Market Participant may indicate that a quote/order has reservesize. Reserve size will apply to a market maker's proprietary as well asAgency Quote, and the market maker must be displaying (either asattributable or non-attributable) 1,000 shares. Reserve size willreplenish displayed size (attributable only or non-attributable) by atleast 1,000 shares (or a default amount) once displayed size isdecremented to zero. Reserve size along with displayed (bothattributable and non-attributable) size, will be accessible throughsystem 20. Reserve size, however, will not be displayed in either theaggregate montage or the current quote montage. As described above,system 20 will access reserve size after all displayed size isexhausted.

The current quote montage 204 also includes a special MMID (herereferred to as “SIZE”) that represents the aggregate size of allnon-attributable quotes/orders at the best bid/best offer displayed inthe current quote montage 204 along with the other MMIDs for the QuotingMarket Participants displaying attributable size at the inside. There isone “SIZE” MMID for the bid and offer side of the market. The aggregatesize of the best bid/best offer displayed in the aggregate montage willequal the sum of the SIZE MMID displayed and the individual sizes of theMMIDs at the best bid/best offer displayed in the current quote montage.The “SIZE” MMID is provided to properly calculate and disseminate theSystem 20 best bid and best offer (“BBO”) along with the accompanyingmarket center, e.g., for a national quotation service.

System 20 provides a “Summary Scan” function as part of the aggregatemontage. The Summary Scan function is a query function that can provideinformation at the total displayable size (attributable andnon-attributable) for all levels below the three displayable pricelevels in the aggregate montage. The Summary Scan anonymously displaysinterest (attributable and non-attributable) at each price level on bothsides of the market, but is not dynamically updated.

The current quote montage represents all trading interest that a QuotingMarket Participant wishes to attribute to its MMID. This section may beviewed as a way for Quoting Market Participants to advertise theirtrading interests, which may be at the inside market or one or moreticks away. The current quote montage 204 will be useful for marketparticipants who wish to trade a block or large size at a price that isone or more ticks away from the market. The aggregate montage will allowQuoting Market Participants to display size to the market anonymously,which minimizes certain risks that a market participant encounters whenlarge size is attributable to its MMID. By allowing for the anonymousdisplay of size to the market and by providing a facility that is SECOrder Handling Rule compliant, the aggregate montage will encourageQuoting Market Participants to show greater size, which will increasetransparency. Finally, reserve size benefits the market by allowingmarket participants to provide to system 20 back book trading interest,but not the market in general. This feature will minimize potentialmarket impact of displaying very large size, while enhancing liquiditysince reserve size will be electronically accessible.

The system 20 can use “point-and-click” window-type technology so thatmarket participants can enter marketable orders by simply clicking onquotes in the window 200. For example, each of the entries in the window200 can be a control button so that a simple click on the control, e.g.,the total shares displayed 205 a (FIG. 4) can activate an execution. Theclick with a mouse or the like at the inside bid in the top-half of thewindow 200 could enter a “default” order priced at the displayed pricefor the displayed shares. The system 20 would allow a trader to set a“default” number of shares, e.g., 1000 shares. For example, whenevertrader clicked on the aggregate shares displayed at the inside bid thetrader's system 12 would generate an order for 1,000 shares at theinside price. In addition, a “right-click” on the aggregate displaywould permit a trader to customize the order at the point of entry.

OTHER EMBODIMENTS

It is to be understood that while the invention has been described inconjunction with the detailed description thereof, the foregoingdescription is intended to illustrate and not limit the scope of theinvention, which is defined by the scope of the appended claims. Otheraspects, advantages, and modifications are within the scope of thefollowing claims.

1. An electronic market system for trading of securities comprises: aplurality of client stations for entering quotes for securities; and aserver computer that receives quotes from the client stations,aggregates the quotes and causes a total of all aggregated quotes to bedisplayed for each of a plurality of price levels on the client systemsand causes a current quote window to be displayed on the client systemsin proximity to the aggregated quotes.
 2. The system of claim 1 whereinthe aggregated quotes at the plurality of price levels are rendered inan aggregate window of a graphical user interface displayed on theclient systems.
 3. The system of claim 1 wherein the plurality of pricelevels are dynamically changeable depending on market conditions.
 4. Thesystem of claim 1 wherein the aggregate window displays aggregateinterest for both sides of a market.
 5. The system of claim 1 whereinthe server updates the aggregate window.
 6. The system of claim 1wherein the server produces a special quote for display in the currentquote window the special quote comprising an identifier and a size thatrepresents the aggregate size of all non-attributable quotes/orders atthe best bid/best offer displayed in the current quote montage.
 7. Thesystem of claim 6 wherein the identifier is displayed for both sides ofthe market.
 8. The system of claim 1 wherein three price levels ofaggregated quotes are displayed, with one being the price levelscorresponding to the inside quote and the others being the next bestprice levels in the system for each side of the market.
 9. The system ofclaim 1 wherein the quotes are attributable quotes to a marketparticipant or non-attributable quotes to a market participant, thatentered the quote.
 10. The system of claim 1 wherein the server thatreceives quotes receives both attributable and non-attributable quotes.11. The system of claim 1 wherein the current quote window includes alist of attributable quotes in a current quote montage.
 12. The systemof claim 1 wherein prices in each of plurality of price levelsdynamically changes depending on market conditions.
 13. The system ofclaim 1 wherein the aggregated quotes are displayed in an aggregatewindow for both sides of the market.
 14. The system of claim 1 whereinthe price levels are price levels of a financial security traded in themarket.
 15. The system of claim 1 wherein the current quote windowincludes attributable quotes of participants in the system and a sizeindicator quote that represents a total non attributable aggregate quotesize at a current market level.
 16. A graphical user interface for anelectronic market for trading products comprises: an aggregate window,having a first plurality of indicators, each indicator displaying atotal of aggregated interest of market participants each indicator beingfor one of a plurality of price levels of a product traded in themarket; and a current quote window disposed adjacent the aggregatewindow; and with the indicators being controls that when selected by auser allows the user to enter orders to execute against interestrepresented by the indicator.
 17. The graphical user interface of claim16 wherein said current quote window displays quotes that are negotiablequotes of participants in the system.
 18. The graphical user interfaceof claim 16 wherein said current quote window displays quotes that areattributable quotes of participates in the system and further comprisesa special quote that represents total aggregate of non-attributablequotes at a current market level included in an indicator in theaggregation window.
 19. The graphical user interface of claim 16 whereinthree price levels of aggregated interest are displayed, with one beingthe price levels corresponding to the inside quote and the others beingthe next best price levels in the system for each side of the market.20. The graphical user interface of claim 19 wherein the price levelsare dynamically changeable depending on market conditions.
 21. Thegraphical user interface of claim 16 wherein the graphical userinterface displays totals of attributable and non-attributable quotes.22. The graphical user interface of claim 21 wherein the current quotewindow includes a list of attributable quotes in the current quotewindow.
 23. The graphical user interface of claim 21 wherein the pricesof the plurality of price levels in the controls dynamically changedepending on market conditions.
 24. The graphical user interface ofclaim 21 wherein the price levels are price levels of a financialsecurity traded in the market.
 25. The graphical user interface of claim21 wherein the current quote window displays a special quote thatrepresents total aggregate quotes at a current market level displayed inthe aggregate window.
 26. A method of operating an electronic market fortrading products comprises: receiving, from client systems attributableand non attributable quotes for a product; aggregating thenon-attributable quotes in the product to provide a total of allnon-attributable interest at a plurality of price levels; and sendingfrom the electronic market data to render a user interface on displaysof the client systems, the user interface displaying totals of allinterest for a plurality of price levels on the client systems.
 27. Themethod of claim 26 wherein sending further comprises: sending data todisplay a current quote window on the client systems in proximity to thetotals of all interest, the current quote window displaying attributablequotes for the product.
 28. The method of claim 27 further comprising:producing a special quote that represents the total of non-attributablequotes at the inside price for each side of a market in the product andwherein sending further comprises: sending data to display the specialquote in the user interface.
 29. The method of claim 27 whereindisplaying further comprises: producing a current quote window disposedadjacent the aggregate window.
 30. The method of claim 27 whereindisplaying further comprises: producing a current quote window disposedadjacent the aggregate window and wherein said current quote windowdisplays negotiable quotes of participants in the system.
 31. The methodof claim 27 wherein the receiving further comprises: receivingattributable and non attributable orders and quotes for the product;aggregating further comprises: aggregating the non-attributable ordersand quotes in the product to provide the total of all non-attributableinterest at the plurality of price levels.
 32. The method of claim 26wherein sending sends data to display three price levels with one beingthe price levels corresponding to an inside quote and the others beingthe next best price levels in the system for each side of the market.33. The method of claim 26 wherein the price levels are dynamicallychangeable depending on market conditions.
 34. A computer programproduct residing on a computer readable medium for use in trading afinancial product, the computer program product comprising instructionsfor causing a computer to: receive non-attributable interest in the formof quotes and/or orders for a financial product traded in an electronicsystem; aggregate non-attributable interest in the financial product toprovide a total of all non-attributable interest at a plurality of pricelevels; and configure the data corresponding to the total of the nonattributable interest at the plurality of price levels to render thetotals to an output device.